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| Author: | Chang, J.-R. hung, M.-W. |
| Title: | An international asset pricing model with time-varying hedging risk |
| Journal: | Review of Quantitative Finance and Accounting
2000 : NOV, VOL. 15:3, p. 235-258 |
| Index terms: | INTERNATIONAL ASSETS HEDGING |
| Language: | eng |
| Abstract: | This paper employs a two-factor international equilibrium asset pricing model to examine the pricing relationships among the world's five largest equity markets. In addition to the traditional market factor premium, a hedging factor premium is included as the second factor to explain the relationship between risks and returns in the international stock markets. Moreover, a GARCH parameterization is adopted to characterize the general dynamics of the conditional second moments. |
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